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Market entry waves and volatility outbursts in stock markets

Author

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  • Blaurock, Ivonne
  • Schmitt, Noemi
  • Westerhoff, Frank
Abstract
We develop a simple agent-based financial market model in which speculators' market entry decisions are subject to herding behavior and market risk. Moreover, speculators' orders depend on price trends, market misalignments and fundamental news. Using a mix of analytical and numerical tools, we show that a herding-induced market entry wave may amplify excess demand, triggering lasting volatility outbursts. Eventually, however, higher stock market risk reduces stock market participation and volatility decreases again. Simulations furthermore reveal that our approach is also able to produce bubbles and crashes, excess volatility, fat-tailed return distributions and serially uncorrelated price changes.

Suggested Citation

  • Blaurock, Ivonne & Schmitt, Noemi & Westerhoff, Frank, 2017. "Market entry waves and volatility outbursts in stock markets," BERG Working Paper Series 128, Bamberg University, Bamberg Economic Research Group.
    • Handle: RePEc:zbw:bamber:128
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    3. Leonardo Quero Virla, 2023. "An empirical characterization of volatility in the German stock market," SN Business & Economics, Springer, vol. 3(7), pages 1-19, July.
    4. Arata, Yoshiyuki & Mundt, Philipp, 2019. "Topology and formation of production input interlinkages: Evidence from Japanese microdata," BERG Working Paper Series 152, Bamberg University, Bamberg Economic Research Group.
    5. Martin Carolin & Westerhoff Frank, 2019. "Regulating Speculative Housing Markets via Public Housing Construction Programs: Insights from a Heterogeneous Agent Model," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 239(4), pages 627-660, August.
    6. Roberto Dieci & Noemi Schmitt & Frank Westerhoff, 2018. "Steady states, stability and bifurcations in multi-asset market models," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(2), pages 357-378, November.
    7. Hommes, Cars & Lustenhouwer, Joep & Mavromatis, Kostas, 2018. "Fiscal consolidations and heterogeneous expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 87(C), pages 173-205.
    8. Lustenhouwer, Joep & Mavromatis, Kostas, 2017. "Fiscal consolidations and finite planning horizons," BERG Working Paper Series 130, Bamberg University, Bamberg Economic Research Group.
    9. Mundt, Philipp & Oh, Ilfan, 2019. "Asymmetric competition, risk, and return distribution," BERG Working Paper Series 145, Bamberg University, Bamberg Economic Research Group.
    10. Noemi Schmitt & Ivonne Schwartz & Frank Westerhoff, 2022. "Heterogeneous speculators and stock market dynamics: a simple agent-based computational model," The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1263-1282, October.
    11. Xing Gao & Daniel Ladley, 2022. "Noise trading and market stability," The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1283-1301, October.
    12. Proaño, Christian R. & Lojak, Benjamin, 2020. "Animal spirits, risk premia and monetary policy at the zero lower bound," Journal of Economic Behavior & Organization, Elsevier, vol. 171(C), pages 221-233.
    13. F. Cavalli & A. Naimzada & N. Pecora, 2022. "A stylized macro-model with interacting real, monetary and stock markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(1), pages 225-257, January.
    14. Agliari, Anna & Naimzada, Ahmad & Pecora, Nicolò, 2018. "Boom-bust dynamics in a stock market participation model with heterogeneous traders," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 458-468.
    15. Hommes, Cars & Lustenhouwer, Joep, 2019. "Managing unanchored, heterogeneous expectations and liquidity traps," Journal of Economic Dynamics and Control, Elsevier, vol. 101(C), pages 1-16.

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    More about this item

    Keywords

    stock markets; heterogeneous speculators; exponential replicator dynamics; herding behavior; stylized facts;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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